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            <li class="nav-item" data-bs-level="1"><a href="#_1" class="nav-link">中小盘动态调仓红利策略</a>
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            <li class="nav-item" data-bs-level="2"><a href="#1" class="nav-link">1. 策略分类和核心逻辑</a>
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            <li class="nav-item" data-bs-level="2"><a href="#2" class="nav-link">2. 选股条件</a>
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            <li class="nav-item" data-bs-level="2"><a href="#3" class="nav-link">3. 买入条件</a>
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            <li class="nav-item" data-bs-level="2"><a href="#4" class="nav-link">4. 卖出条件</a>
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            <li class="nav-item" data-bs-level="2"><a href="#5" class="nav-link">5. 仓位管理</a>
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            <li class="nav-item" data-bs-level="2"><a href="#6" class="nav-link">6. 风控管理</a>
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            <li class="nav-item" data-bs-level="2"><a href="#7" class="nav-link">7. 手动实操步骤（纯人工交易版）</a>
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<h1 id="_1">中小盘动态调仓红利策略</h1>
<h2 id="1">1. 策略分类和核心逻辑</h2>
<ul>
<li>一级分类：基本面量化策略</li>
<li>二级分类：中小盘动态调仓红利策略</li>
<li>核心逻辑：基于中小板指数成分股，通过基本面筛选、红利因子增强、动态仓位调整和严格风控，在特定月份空仓避险，追求稳健的超额收益。</li>
</ul>
<h2 id="2">2. 选股条件</h2>
<ul>
<li>选股范围：中小板指数（399101.XSHE）成分股</li>
<li>排除范围：</li>
<li>科创板、创业板、北交所股票</li>
<li>ST股、退市标签股</li>
<li>上市未满375天的新股</li>
<li>当日停牌、涨跌停股票</li>
<li>基本面筛选：</li>
<li>盈利能力：归母净利润 &gt; 0，净利润 &gt; 0，ROE &gt; 0，ROA &gt; 0</li>
<li>营收规模：营业收入 &gt; 1亿元</li>
<li>市值范围：10亿 ≤ 总市值 ≤ 10000亿</li>
<li>股价限制：股价 ≤ 50元</li>
<li>红利筛选：</li>
<li>审计过滤：近三年无不合格审计意见</li>
<li>分红要求：排除"不分配不转增"的股票</li>
<li>特殊月份：在设定月份优先选择高分红率股票</li>
<li>核心排序：按总市值从小到大排序</li>
</ul>
<h2 id="3">3. 买入条件</h2>
<ul>
<li>调仓频率：每周二调仓一次</li>
<li>买入前提：非空仓月份（1月、4月为空仓月份）</li>
<li>买入规则：</li>
<li>先卖出不再符合条件的持仓</li>
<li>按等分资金买入新入选股票</li>
<li>数量限制：动态调整持仓数量（3-6只）</li>
<li>空仓配置：空仓月份持有货币ETF（511880）</li>
</ul>
<h2 id="4">4. 卖出条件</h2>
<ul>
<li>定期调仓：每周评估，不在选股池中即卖出</li>
<li>涨停保护：昨日涨停股，今日涨停打开立即卖出</li>
<li>止盈止损：</li>
<li>个股止盈：收益率 ≥ 100%时卖出</li>
<li>个股止损：跌幅 ≥ 9%时卖出</li>
<li>市场止损：中小板指数跌幅 ≥ 5%时清仓</li>
<li>空仓机制：1月、4月强制清仓股票持仓</li>
</ul>
<h2 id="5">5. 仓位管理</h2>
<ul>
<li>持仓数量：动态调整3-6只股票</li>
<li>调整逻辑：基于中小板指数10日乖离率</li>
<li>乖离率 ≥ 5%：持有3只</li>
<li>2% ≤ 乖离率 &lt; 5%：持有3只</li>
<li>-2% ≤ 乖离率 &lt; 2%：持有4只</li>
<li>-5% ≤ 乖离率 &lt; -2%：持有5只</li>
<li>乖离率 &lt; -5%：持有6只</li>
<li>资金分配：等分可用资金到每只新买入股票</li>
<li>补仓机制：盘中因止损卖出后及时补仓</li>
</ul>
<h2 id="6">6. 风控管理</h2>
<ul>
<li>月份风控：1月、4月强制空仓规避风险</li>
<li>个股风控：严格的财务指标和审计意见筛选</li>
<li>价格风控：50元股价上限控制个股风险</li>
<li>交易风控：涨停板跟踪和及时止盈止损</li>
<li>市场风控：基于指数表现动态调整持仓数量</li>
</ul>
<h2 id="7">7. 手动实操步骤（纯人工交易版）</h2>
<p>第一步：盘前准备（每个交易日9:05）</p>
<ol>
<li>持仓分析：</li>
<li>检查当前持仓情况</li>
<li>识别昨日涨停的持仓股</li>
<li>
<p>更新涨停股票监控列表</p>
</li>
<li>
<p>月份判断：</p>
</li>
<li>检查当前是否为空仓月份（1月、4月）</li>
<li>确定当日交易信号</li>
</ol>
<p>第二步：选股执行（每周二10:00）</p>
<ol>
<li>基础筛选：</li>
<li>获取中小板指数成分股</li>
<li>排除ST、次新、停牌、涨跌停股票</li>
<li>
<p>筛选市值10-10000亿的股票</p>
</li>
<li>
<p>财务筛选：</p>
</li>
<li>筛选净利润、营收、ROE等财务指标达标股票</li>
<li>
<p>排除近三年有不合格审计意见的股票</p>
</li>
<li>
<p>红利增强：</p>
</li>
<li>在设定月份优先选择高分红率股票</li>
<li>平日排除年度不分红的股票</li>
<li>
<p>按市值从小到大排序</p>
</li>
<li>
<p>动态调仓：</p>
</li>
<li>计算中小板指数10日乖离率</li>
<li>根据乖离率确定持仓数量（3-6只）</li>
<li>选择最终持仓股票</li>
</ol>
<p>第三步：盘中监控（每个交易日10:00）</p>
<ol>
<li>止损执行：</li>
<li>检查个股是否触及止盈止损线</li>
<li>检查市场是否触发大跌止损</li>
<li>执行止损卖出操作</li>
</ol>
<p>第四步：盘中交易（每个交易日14:00）</p>
<ol>
<li>涨停监控：</li>
<li>监控昨日涨停股是否打开涨停</li>
<li>
<p>涨停打开的股票立即卖出</p>
</li>
<li>
<p>补仓操作：</p>
</li>
<li>检查因止损造成的空仓</li>
<li>及时补足股票持仓至目标数量</li>
<li>剩余资金买入货币ETF</li>
</ol>
<p>第五步：尾盘清理（每个交易日14:50）</p>
<ol>
<li>空仓执行：</li>
<li>在空仓月份清仓所有股票持仓</li>
<li>确保只持有货币ETF</li>
<li>为下周调仓做准备</li>
</ol>
<p>第六步：纪律维护</p>
<ol>
<li>每周执行：</li>
<li>严格执行周二调仓纪律</li>
<li>坚决按月份规则进行空仓</li>
<li>
<p>动态调整持仓数量</p>
</li>
<li>
<p>风控坚持：</p>
</li>
<li>不因市场波动改变空仓规则</li>
<li>严格执行止盈止损纪律</li>
<li>保持红利因子筛选标准</li>
</ol>
<p>交易成本考虑：
- 买入佣金：0.025%
- 卖出佣金：0.025%
- 印花税：0.1%
- 最低佣金：5元/笔
- 滑点：0.03%</p>
<p>风险提示： 该策略在1月、4月强制空仓，可能错过上涨行情。中小盘股票波动性较大，虽然通过基本面筛选控制质量，但仍需关注市场风格变化。红利因子在特定市场环境下可能失效，需持续监控因子有效性。动态调仓机制基于历史波动率，在极端市场情况下可能放大风险。</p></div>
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